Vanguard High Yield Corporate Fund Market Value
| VWEAX Fund | USD 5.30 0.01 0.19% |
| Symbol | Vanguard |
Vanguard High-yield 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Vanguard High-yield's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Vanguard High-yield.
| 06/26/2022 |
| 04/16/2024 |
If you would invest 0.00 in Vanguard High-yield on June 26, 2022 and sell it all today you would earn a total of 0.00 from holding Vanguard High Yield Corporate or generate 0.0% return on investment in Vanguard High-yield over 660 days. Vanguard High-yield is related to or competes with Vanguard Short-term, Vanguard Intermediate-ter, Vanguard Gnma, Vanguard High-yield, and Vanguard Long-term. The fund invests primarily in a diversified group of high-yielding, higher-risk corporate bonds-commonly known as junk b... More
Vanguard High-yield Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Vanguard High-yield's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Vanguard High Yield Corporate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3027 | |||
| Information Ratio | (0.29) | |||
| Maximum Drawdown | 1.12 | |||
| Value At Risk | (0.38) | |||
| Potential Upside | 0.3766 |
Vanguard High-yield Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard High-yield's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard High-yield's standard deviation. In reality, there are many statistical measures that can use Vanguard High-yield historical prices to predict the future Vanguard High-yield's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.21) | |||
| Treynor Ratio | (0.05) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard High-yield's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Vanguard High Yield Backtested Returns
We consider Vanguard High-yield very steady. Vanguard High Yield owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0298, which indicates the fund had a 0.0298% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard High Yield Corporate, which you can use to evaluate the volatility of the fund. Please validate Vanguard High-yield's Coefficient Of Variation of 93025.23, risk adjusted performance of (0.02), and Semi Deviation of 0.193 to confirm if the risk estimate we provide is consistent with the expected return of 0.0063%. The entity has a beta of 0.22, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard High-yield's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard High-yield is expected to be smaller as well.
Auto-correlation | 0.68 |
Good predictability
Vanguard High Yield Corporate has good predictability. Overlapping area represents the amount of predictability between Vanguard High-yield time series from 26th of June 2022 to 22nd of May 2023 and 22nd of May 2023 to 16th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Vanguard High Yield price movement. The serial correlation of 0.68 indicates that around 68.0% of current Vanguard High-yield price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.68 | |
| Spearman Rank Test | 0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Vanguard High Yield lagged returns against current returns
Autocorrelation, which is Vanguard High-yield mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Vanguard High-yield's mutual fund expected returns. We can calculate the autocorrelation of Vanguard High-yield returns to help us make a trade decision. For example, suppose you find that Vanguard High-yield has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Vanguard High-yield regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Vanguard High-yield mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard High-yield mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard High-yield mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard High-yield Lagged Returns
When evaluating Vanguard High-yield's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard High-yield mutual fund have on its future price. Vanguard High-yield autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Vanguard High-yield autocorrelation shows the relationship between Vanguard High-yield mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard High Yield Corporate.
Regressed Prices |
| Timeline |
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Check out Vanguard High-yield Correlation, Vanguard High-yield Volatility and Vanguard High-yield Alpha and Beta module to complement your research on Vanguard High-yield. Note that the Vanguard High Yield information on this page should be used as a complementary analysis to other Vanguard High-yield's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
Vanguard High-yield technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.